It's how they make money. But it's probably the easiest option you have. Just look up the latest exchange rates with ECB for EUR and BNR for RON and see how they compare to the exchange rates being offered. You might have to do it in multiple smaller transactions.
Another option would be to speak with other international banks. Big ones like Erste, Unicredit, Alpha Bank, and Intesa might be able to accommodate an exchange if you make arrangements in advance. You don't necessarily need to open︀ an account with them.